Optimal Inference in Cointegrated Systems

DOI10.2307/2938258zbMath0729.62104OpenAlexW2164599393MaRDI QIDQ3354959

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0866-r.pdf

zbMATH Keywords

unit roots vector time series vector autoregression error correction models locally asymptotically mixed normal LAMN family maximum likelihood estimates of cointegrated systems SUR systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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